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موضع سیاست پولی
Hence, the main hypothesis that we test is that decreasing interest rates have positive or negative effects on bank's risk given the monetary policy stance.
In testing this relationship between monetary policy and bank's risk, we face two major challenges associated to measuring banks' risk-taking behaviour and the monetary policy stance.
The second issue is the assessment of the monetary policy stance, which we derive from the deviation of the fed main refinancing rate from the Taylor rule rate (called the "Taylor gap").
This specification allows consideration of the effect of the change in monetary rates (at the moment of decision-making, t−1) on banks' soundness, depending on the monetary policy stance in the preceding quarter (t−2).
Since the effective Fed interest rate has a Zero Lower Bound (ZLB), it may fail to reflect the real monetary policy stance since some unconventional measures were introduced after 2009.
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